DocumentCode :
1106621
Title :
Some relations between the various criteria for autoregressive model order determination
Author :
Burshtein, David ; Weinstein, Ehud
Author_Institution :
Tel-Aviv Univ., Israel
Volume :
33
Issue :
4
fYear :
1985
fDate :
8/1/1985 12:00:00 AM
Firstpage :
1017
Lastpage :
1019
Abstract :
The problem of model order determination in autoregressive (AR) modeling of a given time series is considered. It is shown analytically that the model order selected using the final prediction error (FPE) criterion never exceeds the model order selected using the Akaike information criterion (AIC). It is further shown that under certain conditions, the model order selected using the criterion autoregressive transfer function (CAT) never exceeds the model order selected using the FPE criterion. These relations give some indication to what should be the preferred criterion, at least for the extreme cases when the model order is likely to be underestimated or overestimated.
Keywords :
Additive noise; Information analysis; Oceans; Parameter estimation; Power harmonic filters; Predictive models; Spectral analysis; Systems engineering and theory; Technological innovation; Transfer functions;
fLanguage :
English
Journal_Title :
Acoustics, Speech and Signal Processing, IEEE Transactions on
Publisher :
ieee
ISSN :
0096-3518
Type :
jour
DOI :
10.1109/TASSP.1985.1164656
Filename :
1164656
Link To Document :
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